CURRICULUM VITAE
NAME: Larry G. Epstein September 2014
BUSINESS ADDRESS: Department of Economics
Boston University
270 Bay State Road
Boston, MA 02215
Tel: (617) 353-4142
E-mail:
CITIZENSHIP: Canadian (U.S. resident)
EDUCATION: Ph.D. in Economics, University of British Columbia, June 1977
M.A. in Mathematics, Hebrew University, Jerusalem, April, 1970
B.Sc. (Honours) in Mathematics, University of Manitoba, 1968
ACADEMIC AND PROFESSIONAL EXPERIENCE:
Research Experience:
Research Economist, Strategic Planning and Research, Department of Manpower and Immigration, Ottawa, November 1971-May 1974.
Assistant Professor, U. Toronto, July 1977; Associate Professor, from March 1980.
Professor, Department of Economics, U. Toronto, from July 1983.
University Professor of Economics, U. Toronto, July 1994 – June 1998.
Elmer B. Milliman Professor of Economics, U. Rochester, July 1998 – June 2007.
Current Position: Professor of Economics, Boston University
AREAS OF SPECIALIZATION:
Mathematical Economics
Decision Theory, Asset Pricing
HONOURS: Fellow of the Econometric Society (since 1989)
1994 Frisch Medal (awarded by Econometric Society)
Fellow of the Royal Society of Canada 1994-1999
John Rae Award (CEA) for Outstanding Research (1994)
Listed in Who’s Who in Economics, 3rd ed., M. Blaug ed.,
Edward Elgar, 1999.
ISI Highly Cited Researcher
Member of American Academy of Arts and Sciences (since 2013)
PAPERS IN REFEREED JOURNALS
“Some Economic Effects of Immigration: A General Equilibrium Analysis,” Canadian Journal of Economics 7, (1974), 174-90.
“A Disaggregate Analysis of Consumer Choice Under Uncertainty,” Econometrica 43 (1975), 877-92.
“Production Flexibility and the Behaviour of the Competitive Firm Under Price Uncertainty,” Review of Economic Studies (1978), 251-261.
“The Le Chatelier Principle in Optimal Control Problems,” Journal of Economic Theory (1978), 103-22.
“Decision Making and the Temporal Resolution of Uncertainty,” International Economic Review (1980), 267-281.
“Generalized Increasing Correlation: A Definition and Some Economic Consequences,” Canadian Journal of Economics 13 (1980), 16-34, with S. M. Tanny.
“Endogenous Capital Utilization in a Short Run Production Model: Theory and an Empirical Application,” Journal of Econometrics 12 (1980), 189-207, with M. Denny.
“Multivariate Risk Independence and Functional Forms for Preferences and Technologies,” Econometrica (1980), 973-85.
“Capital Asset Prices and the Temporal Resolution of Uncertainty,” Journal of Finance (1980), 627-643, with S. Turnbull.
“Generalized Duality and Integrability,” Econometrica (1981), 655-678.
“Duality Theory and Functional Forms and Dynamic Factor Demand Functions,” Review of Economic Studies (1981), 81-95.
“Comparative Dynamics in the Adjustment-Cost Model of the Firm,” Journal of Economic Theory (1982), 77-100.
“On Decreasing Absolute Risk Aversion and Utility Indices Derived from Cake-Eating Problems,” Journal of Economic Theory (1983), 245-264.
“Integrability of Incomplete Systems of Demand Functions,” Review of Economic Studies (1982), 411-425.
“The Multivariate Flexible Accelerator Model: Its Empirical Restrictions and an Application to U.S. Manufacturing,” Econometrica (1983), 647-673, with M. Denny.
“Stationary Cardinal Utility and Optimal Growth Under Uncertainty,” Journal of Economic Theory (1983), 133-152. Reprinted in Growth Theory II, R. Becker and E. Burmeister eds., Edward Elgar Ltd., 1990.
“Intertemporal Price Indices for the Firm,” Journal of Economic Dynamics and Control 6 (1983), 109-126.
“The Rate of Time Preference and Dynamic Economic Analysis,” Journal of Political Economy (1983), 611-635, with A. Hynes. Reprinted in Growth Theory III, R. Becker and E. Burmeister eds., Edward Elgar Ltd., 1990.
Aggregating Quasi-Fixed Factors,” Scandinavian Journal of Economics 85 (1983), 191-205.
“The Empirical Determination of Technology and Expectations: A Simplified Procedure,” Journal of Econometrics 27 (1985), 235-258, with A. Yatchew.
“Decreasing Risk Aversion and Mean-Variance Analysis,” Econometrica 53 (1985), 945-961.
“Nonparametric Hypothesis Testing Procedures and Applications to Demand Analysis,” Journal of Econometrics 30 (1985), 149-169, with A. Yatchew. Reprinted in New Approaches to Modelling, Specification Selection and Econometric Inference, W. Barnett and R. Gallant eds., Cambridge U. Press, 1989.
“Intergenerational Preference Orderings,” Social Choice and Welfare 3 (1986), 151-160.
“A Simple Dynamic General Equilibrium Model,” Journal of Economic Theory 41 (1987), 68-95.
“Implicitly Additive Utility and the Nature of Optimal Economic Growth,” Journal of Mathematical Economics 15 (1986), 111-128.
“The Global Stability of Efficient Intertemporal Allocations,” Econometrica 55 (1987), 329-355.
“The Unimportance of the Intransitivity of Separable Preferences,” International Economic Review 28 (1987), 315-322.
“The Law of Large Numbers and the Attractiveness of Compound Gambles,” Journal of Risk and Uncertainty 1 (1988), 103-117, with Chew S. H.
“The Structure of Preferences and Attitudes Towards the Timing of the Resolution of Uncertainty,” International Economic Review 30 (1989), 103-117, with Chew S.
“Risk Aversion and Asset Prices,” Journal of Monetary Economics 22 (1988), 179-192.
“A Unifying Approach to Axiomatic Non-Expected Utility Theories,” Journal of Economic Theory 49 (1989), 207-240, with Chew S. H., “Correction and Comment,” 59 (1993), 183-188, with Chew S. H. and P. Wakker.
“Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns: A Theoretical Framework,” Econometrica 57 (1989), 937-69, with S. Zin. (Awarded the Frisch Medal 1994.)
“Non-Expected Utility Preferences in a Temporal Framework with an Application to Consumption-Savings Behaviour,” Journal of Economic Theory 50 (1990), 54-81, with Chew S. H.
“First Order Risk Aversion and the Equity Premium Puzzle,” Journal of Monetary Economics 26 (1990), 387-407, with S. Zin.
“Mixture Symmetry and Quadratic Utility,” Econometrica 59 (1991), 165-187, with Chew S. H. and U. Segal.
“Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns: An Empirical Analysis,” Journal of Political Economy 99 (1991), 263-286, with S. Zin.
“Stochastic Differential Utility,” Econometrica 60 (1992), 353-394, with D. Duffie.
“Quadratic Social Welfare Functions,” Journal of Political Economy 100 (1992), 691-712, with U. Segal. Reprinted in Amartya Sen: Critical Assessments of Contemporary Economics, J. Wood and R. Wood eds., Routledge, 2007.
“Asset Pricing with Stochastic Differential Utility,” Review of Financial Studies 5 (1992), 411-436, with D. Duffie.
“Habits and Time Preference,” International Economic Review 34 (1993), 61-84, with S. Shi.
“Dynamically Consistent Beliefs Must Be Bayesian,” Journal of Economic Theory 61 (1993), 1-22, with M. Le Breton.
“The Projective Independence Axiom,” Economic Theory 4 (1994), 189-215, with
Chew S. H. and U. Segal.
“Intertemporal Asset Pricing Under Knightian Uncertainty,” Econometrica 62 (1994), 283-322, with Tan Wang. Reprinted in Uncertainty in Economic Theory: Essays in Honor of David Schmeidler’s 65th Birthday, I. Gilboa ed., Routledge, 2004.
“Uncertainty, Risk-Neutral Measures and Security Price Booms and Crashes,” Journal of Economic Theory 67 (1995), 40-82, with Tan Wang.
“A Revealed Preference Analysis of Asset Pricing Under Recursive Utility,” Review of Economic Studies 62 (1995), 597-618, with Angelo Melino.
“Beliefs about Beliefs’ without Probabilities,” Econometrica 64 (1996), 1343-73, with Tan Wang.
“Preference, Rationalizability and Equilibrium,” Journal of Economic Theory 73 (1997), 1-29.
“Least Convex Capacities,” Economic Theory 13 (1999), 263-286, with J. Zhang.
“A Definition of Uncertainty Aversion,” Review of Economic Studies 66 (1999), 579-608. Reprinted in Uncertainty in Economic Theory: Essays in Honor of David Schmeidler’s 65th Birthday, I. Gilboa ed., Routledge, 2004.
“A Revelation Principle for Competing Mechanisms,” Journal of Economic Theory 88 (1999), 119-160, with M. Peters.
``Are Probabilities Used in Markets?”, Journal of Economic Theory 91 (2000), 86-90.
“Subjective Probabilities on Subjectively Unambiguous Events,” Econometrica 69 (2001), 265-305, with J. Zhang.
``Sharing Ambiguity,” American Economic Review 91 (2001), 45-50.
``The Core of Large Differentiable TU Games,’’ Journal of Economic Theory 100 (2001), 235-273, with M. Marinacci.
``The Independence Axiom and Asset Returns,” Journal of Empirical Finance 8 (2001), 537-572, with S. Zin.
“Ambiguity, Risk and Asset Returns in Continuous Time,” Econometrica 70 (2002), 1403-1443, with Z. Chen.
``A Two-Person Dynamic Equilibrium under Ambiguity,” Journal of Economic Dynamics and Control 27 (2003), 1253-1288, with J. Miao.
``Recursive Multiple-Priors”, Journal of Economic Theory 113 (2003), 1-31, with M. Schneider.
``IID: Independently and Indistinguishably Distributed,” Journal of Economic Theory 113 (2003), 32-50, with M. Schneider
``An Axiomatic Model of Non-Bayesian Updating, Review of Economic Studies 73 (2006), 413-436.
``Cold Feet,'' Theoretical Economics 2 (2007), 231-259, with I. Kopylov
``Learning under Ambiguity," Review of Economic Studies 74 (2007), 1275-1303, with M. Schneider.
``Coarse Contingencies and Ambiguity,'' Theoretical Economics 2 (2007), 355-394, with M. Marinacci and K. Seo.
``Ambiguity, Information Quality and Asset Pricing," Journal of Finance 63 (2008), 197-228, with M. Schneider.
``Non-Bayesian Updating: a Theoretical Framework,’’ Theoretical Economics 3 (2008), 193-229, with J. Noor and A. Sandroni.
``Living with Risk,’’ Review of Economic Studies 75 (2008), 1121-1141.
``Subjective States: A More Robust Model,’’ Games and Economic Behavior 67 (2009), 399-407, with K. Seo.
``Non-Bayesian Learning,’’ B.E. Journal of Theoretical Economics (Advances), Vol. 10 : Iss. 1, with J. Noor and A. Sandroni.
``Symmetry of Evidence without Evidence of Symmetry,’’ Theoretical Economics 5 (2010), 313-368, with K. Seo.
``A Paradox for the `Smooth Ambiguity’ Model of Preference,’’ Econometrica 78 (2010), 2085-2099.
``Symmetry or Dynamic Consistency?’’, B.E. Journal of Theoretical Economics (Advances), Vol. 11 : Iss. 1, with K. Seo.
``Ambiguous Volatility and Asset Pricing in Continuous Time,’’ Review of Financial Studies 26 (2013), 1740-1786, with Shaolin Ji.
``Ambiguous Volatility, Utility and Possibility in Continuous Time,” Journal of Mathematical
Economics 50 (2014), 269-282, with Shaolin Ji.
“De Finetti Meets Ellsberg,” Research in Economics 68 (2014), 11-26, with Kyoungwon Seo.
“How Much Would You Pay to Resolve Long-Run Risk?” American Economic Review
104 (2014), 2680-97, with Emmanuel Farhi and Tomasz Strzalecki.
SHORT ARTICLES IN REFEREED JOURNALS
“On the Recoverability of Intertemporal Preferences,” Econ. Letters 5 (1980), 11-14.
“A Correspondence Theorem Between Expected Utility and Smooth Utility,” Journal of Economic Theory 46 (1988), 186-193, with Chew Soo Hong and I. Zilcha.
“Axiomatic Rank Dependent Mean Values,” Annals of Operations Research 19 (1989), 299-309, with Chew S. H.
``Mutual Absolute Continuity of Multiple-Priors,’’ Journal of Economic Theory 137 (2007), 716-720, with M. Marinacci.
OTHER PUBLICATIONS
Impatience,” three thousand word entry in The New Palgrave: A Dictionary of Economic Theory and Doctrine, J. Eatwell, M. Millgate and P. Neuman (eds.) Macmillan Press, 1987.
“Discussion of ‘Substitution Over Time in Consumption and Work,’” in Value and Capital, Fifty Years Later, L. McKenzie and S. Zamagni eds., Macmillan, (1991), 268-278.
“Recursive Utility Under Uncertainty,” in Equilibrium Theory in Infinite Dimensional Spaces, A. Khan and N. Yannelis (eds.), Springer Verlag, (1991), 352-369; with S. H. Chew.
“Behaviour Under Risk: Recent Developments in Theory and Application,” in Advances in Economic Theory – Sixth World Congress of the Econometric Society, Vol II, J. J. Laffont ed., Cambridge U. Press, (1992), 1-63.
``Ambiguity and Asset Markets,’’ Annual Review of Financial Economics 2 (2010), 315-346, with Martin Schneider.
EDITORIAL POSITIONS
Associate Editor, Econometrica, 1991-2009
Associate Editor, Journal of Economic Theory, 1991-2013
Associate Editor, Economic Theory, 1993-2005; member of Advisory Board, 2010-
Associate Editor, Journal of Risk and Uncertainty, 1988-
Associate Editor, Macroeconomic Dynamics, 1997- 2001
Member of the Editorial Board of the Canadian Journal of Economics, 1982-85. Advising Editor 2013-
REFEREEING
Econometrica, American Economic Review, International Economic Review, Journal of Political Economy, Review of Economic Studies. Quarterly Journal of Economics, Journal of Economic Theory, Theoretical Economics, Mathematical Social Sciences, Journal of Finance, Scandinavian Journal of Economics, Journal of Money, Credit and Banking, Canadian Journal of Economics, Social Sciences & Humanities, Research Council of Canada, National Science Foundation, Management Science
OTHER PROFESSIONAL SERVICE
Member of Executive Council of Canadian Economics Association, 1987-1990.
Member of Fellows Nominating Committee of Econometric Society, 1995 and 1999.
PH.D. THESIS SUPERVISION
Shouyong Shi, 1991, now at U. Toronto
Susheng Wang, 1991, Hong Kong U. Science and Technology
Chenghu Ma, 1992, Fudan University
Tan Wang, 1992, U.B.C. (Finance)
Kin Chung Lo, 1995, York University
Jiankang Zhang, 1998, Carleton University
Jianjun Miao, 2003, Boston University
Igor Kopylov, 2003, UC Irvine
Takashi Hayashi, 2004, U. Texas at Austin
Jawwad Noor, 2005, Boston University
Norio Takeoka, 2006, Yokohama University
Kazuya Hyogo, 2007, Ryukoku University
Spyros Galanis, (co-supervisor) 2007, Southampton U.
Kyoungwon Seo, 2008, Kaist University
Youichiro Higashi, 2008, Okayama University
Asen Kochov, 2010, University of Rochester
John Stovall, (co-supervisor), 2010, Warwick University
Andrew Ellis, 2013, LSE
Guihai Zhao, (co-supervisor), expected completion June 2015
RESEARCH GRANTS AWARDED
Connaught Fund ($11,816), November 1979, Dynamic Factor Demand Functions: Theory and Estimation.
Social Sciences and Humanities Research Council (SSHRC) Sabbatical Leave Fellowship, 1984-5.
SSHRC research grant ($19,640), Feb. 1985, Nonparametric Testing of Economic Hypotheses; joint with A. Yatchew.
NSF research grant ($45,000 U. S.), August 1986, Nonlinear Preference Theory and Temporal Decision Making Under Uncertainty, joint with Chew Soo Hong.
SSHRC research grant (23,250), 1987-1989, Choice and Behaviour Under Uncertainty.
SSHRC research grant ($81,000), 1989-1992, Recursive Utility, Risk Aversion and Issues in Stochastic Capital Theory.
SSHRC research grant ($74,000), 1993-1996, Choice Under Knightian Uncertainty: Theory and Applications.
Connaught Research Fellowship, University of Toronto, 1994-5.
National Science Foundation award SES-9972442 ($186,500), 1999-2002: Ambiguity: Meaning and Applications.
National Science Foundation award SES-0611456 ($147,513), 2006-2009: Coarse Contingencies.
National Science Foundation award SES-0917740 ($186,859), 2009-2012: Symmetry, Ambiguity and Frequencies, Collaborative Research with Kyoungwon Seo.
National Science Foundation award SES-1216339 ($190,636), 2012-2015: Volatility, Possibility and Utility.